Iterative Procedures in Application of the LQG Approach to Control Problems for Polynomial Stochastic Systems

摘要

The problem of the determination of quasi-optimal control for polynomial stochastic dynamic systems using the LQG technique and linearization methods is considered. In this paper we present some sufficient conditions of convergence for iterative procedures used in evaluation of quasi-optimal control. Scalar and vector systems are treated separately. Obtained results are illustrated by numerical examples.